Least squares estimation and tests of breaks in mean and variance under misspecification

DOI10.1111/j.1368-423X.2004.00120.xzbMath1053.62103OpenAlexW2021928455MaRDI QIDQ3156185

Jean-Yves Pitarakis

Publication date: 6 January 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00120.x

zbMATH Keywords

misspecificationstructural breaksbootstrappingvariance shifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (11)

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Cites Work

• Strong rules for detecting the number of breaks in a time series
• Testing for structural change in conditional models
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• STRUCTURAL CHANGE IN AR(1) MODELS
• Dynamic Econometrics

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